Using two hedging instruments from two maturity sectors in the yield curve to hedge a MBS provides the benefit of adapting to twists in the yield curve
Use a 2-year Treasury and 10-year Treasury with same duration as the mortgage security; the 2-year will adjust to changes in short-term rates while the 10-year adjusts to changes at the long end of the curve
发表于 2011-7-13 17:24
| 